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Monte-Carlo methods is the generic term given to numerical methods that use sampling of random numbers. This text is aimed at graduate students in mathematics, physics, engineering, economics, finance and the biosciences that are interested in using Monte-Carlo methods for the resolution of partial differential equations, transport equations, the Boltzmann equation and the parabolic equations of diffusion. It includes applied examples, particularly in mathematical finance, along with discussion of the limits of the methods and description of specific techniques used in practice for each example.
- Sales Rank: #5202075 in Books
- Published on: 2003-10-09
- Original language: English
- Number of items: 1
- Dimensions: 6.10" h x .40" w x 9.10" l, .57 pounds
- Binding: Paperback
- 176 pages
About the Author
Bernard Lapeyre is at Ecole Nationale des Ponts et Chaussees, Marne-la-Vallee, France. Etienne Pardoux is at Universite de Provence, Marseille, France. Remi Sentis is Commissariat a l'Energie Atomique Bruyeres-le-Chatel, France.
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